Wholesale Credit Reserves Model Developer

Credit, Climate and Obligor Risk Analytics (CORA) is the leading risk modelling and data analytics team in Citi. We use mathematical modelling and the latest technologies to calculate risk for the largest portfolios in Citi. Our models and analytics ensure that the bank has adequate capital during crisis.

We are a diverse group of professionals with backgrounds in physics, engineering, finance, economics, and data science. You will work alongside experienced colleagues to further develop your analytical and quantitative skills. Your responsibilities will include building models and analytical applications to tackle real-world challenges, paving the way for a career as a risk management expert and leader.

As a successful Candidate you will be a part of Loss Forecasting Analytics Team, which is responsible for statistical models used in reserves calculation (IFRS9 & CECL) and stress testing (ICAAP, CECL and others). The role offers a huge development opportunity and exposition to local and global initiatives.

What you will be doing

• Research, develop, and test wholesale expected credit loss (ECL) models in line with the IFRS9 standard and regulatory requirements from multiple jurisdictions in which Citi operates
• Lead annual model reviews, performance assessments, and model redevelopment initiatives as required
• Implement credit loss models in Python for model execution, testing, and analytical tools
• Cooperate with technology partners in production implementation of the model
• Prepare detailed quantitative modelling and analysis for risk managers and senior management
• Synthesize and communicate complex risk models and results to both technical and non-technical audiences through presentations and formal documentation
• Conduct statistical analysis, quantitative modelling, and model risk controls
• Work with risk managers, businesses, and technology to design and build models for risk capture and stress testing
• Produce comprehensive model documentation, including technical specifications and user guides, adhering to industry best practices
• Foster strong working relationships with cross-functional teams, including country/region business stakeholders, model validation, governance, and implementation teams
• Leverage critical thinking and quantitative skills to solve complex business problems in a fast-paced, collaborative environment
• Prepare comprehensive responses to inquiries from regulators and internal audit regarding developed models
• Validate model assumptions, proactively identify and escalate potential risks, and address sensitive areas within the methodology and development process

What we need from you

• Master degree from a quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, Economics, Finance, etc.) is required
• 2+ years of experience in quantitative financial modelling
• Hands-on experience with the research, development, and implementation of financial models
• Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems
• Knowledge of wholesale credit products and financial markets at a financial institution is preferred
• Good knowledge of credit reserves calculation in line with IFRS9/CECL, bank stress testing in line with ICAAP/CCAR or PD/LGD/EAD modelling is a plus
• Familiar with statistics packages and regression models
• Strong programming skills in Python. Good knowledge of Linux is a plus
• Excellent communication skills, verbal as well as written
• Ability to prioritize effectively, make sound decisions, and meet deadlines in a fast-paced environment with competing demands
• Self-motivated, detail-oriented, and possess strong organizational and project management skills, with the ability to manage multiple projects concurrently

What we offer

By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits such as:

• Private Medical Care Program
• Life Insurance Program
• Pension Plan contribution (PPE Program)
• Employee Assistance Program
• Paid Parental Leave Program (maternity and paternity leave)
• Sport Card
• Holidays Allowance
• Sport and team recreation activities
• Special offers and discounts for employees
• Access to an array of learning and development resources
• A discretional annual performance related bonus
• A chance to make a difference with various affinity networks and charity initiatives